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中国资本市场上是否存在资产增长异象?如果存在,其究竟是由错误定价还是风险变动引起?这是近年来金融经济学研究的热点问题,关系到资本市场能否为金融资产进行正确定价。本文以1998-2013年沪深两市A股上市公司为研究对象,深入考察了中国资本市场上的资产增长异象问题,并在此基础上对“错误定价假说”和“风险定价假说”的解释能力做了对比分析。研究结果显示,中国资本市场上存在明显的资产增长异象,且以总资产增长率为代表的资产增长代理指标在捕捉该异象方面具有最佳的优势。对两大假说的对比研究发现,“错误定价假说”中的“过度投资假说”和“市场择时假说”对中国资产增长异象的成因具有较强的解释能力,但“有限套利假说”的解释能力则相对较弱;而“风险定价假说”则没能得到中国资本市场数据的支持。这说明,中国资本市场上的资产增长异象主要是由投资者对市场信息的反应存在系统性偏差而不是风险变动导致的。
Is there a phenomenon of asset growth in China’s capital market? If it exists, is it caused by wrong pricing or risk changes? This is a hot issue in the study of financial economics in recent years, and it is related to whether the capital market can correctly price financial assets. This paper takes the A-share listed companies in Shanghai and Shenzhen from 1998 to 2013 as the research object, examines the problem of asset growth in China’s capital market in depth, and on the basis of which, it evaluates the risk of “wrong pricing hypothesis” and “risk” Hypothesis “ability to explain the comparative analysis. The results show that there is a clear vision of asset growth in China’s capital market and the asset growth proxy represented by the growth rate of total assets has the best advantage in capturing this vision. A comparative study of the two hypotheses shows that ”overinvestment hypothesis “ and ”market timing hypothesis “ in the ”false pricing hypothesis “ have a strong explanatory power on the causes of China’s asset growth. However, The ability to explain the ”limited arbitrage hypothesis“ is relatively weak; however, the ”risk pricing hypothesis" is not supported by the Chinese capital market data. This shows that the abnormal growth of assets in China’s capital market is mainly caused by the systematic deviation of investors’ reaction to market information rather than the change of risks.